[R] adf test and cross-correlation with missing values

From: <nhy303_at_abdn.ac.uk>
Date: Wed 14 Sep 2005 - 18:49:03 EST


Dear List,

I have multiple time series, all of which (excepting 1) have missing values. These run for ~30 years, with monthly sampling. I need to determine stationarity, and have tried to use the Augmented Dickey-Fuller test (adf.test), but this cannot handle missing values. The same problem occurs when attempting cross-correlation (ccf).

Could someone please suggest any suitable functions in R to check for stationarity and to look at cross-correlation when NAs are present in a time series (and also, which packages these would be in) - or, do I have to interpolate the missing values first in order to perform these tests on my time series?

Thankyou,

Lillian.



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